[Federal Register Volume 80, Number 224 (Friday, November 20, 2015)]
[Notices]
[Pages 72758-72761]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-29603]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76447; File No. SR-BOX-2015-36]


Self-Regulatory Organizations; BOX Options Exchange LLC; Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change To 
Amend the Fee Schedule on the BOX Market LLC Options Facility

November 16, 2015.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on November 4, 2015, BOX Options Exchange LLC (the ``Exchange'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I, II, and III below, which 
Items have been prepared by the Exchange. The Exchange filed the 
proposed rule change pursuant to Section 19(b)(3)(A)(ii) of the Act,\3\ 
and Rule 19b-4(f)(2) thereunder,\4\ which renders the proposal 
effective upon filing with the Commission. The Commission is publishing 
this notice to solicit comments on the proposed rule change from 
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(ii).
    \4\ 17 CFR 240.19b-4(f)(2).
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I. Self-Regulatory Organization's Statement of the Terms of the 
Substance of the Proposed Rule Change

    The Exchange is filing with the Securities and Exchange Commission 
(``Commission'') a proposed rule change to amend the Fee Schedule to 
revise the qualification thresholds for all volume based fees and 
rebates on the BOX Market LLC (``BOX'') options facility. Changes to 
the fee schedule pursuant to

[[Page 72759]]

this proposal will be effective upon filing. The text of the proposed 
rule change is available from the principal office of the Exchange, at 
the Commission's Public Reference Room and also on the Exchange's 
Internet Web site at http://boxexchange.com.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
Sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend the Fee Schedule for trading on BOX 
to revise the qualification thresholds for all volume based fees and 
rebates in the BOX Fee Schedule.
    Currently the Exchange tiers certain rebates and fees based on a 
Participant's average daily volume (``ADV'') as calculated at the end 
of each month.\5\ The Exchange proposes to revise the qualification 
thresholds so that tiers will not be based on a fixed number of 
contracts, but instead be based on a percentage of the Participant's 
volume relative to the account type's overall total industry equity and 
ETF option volume,\6\ excluding Flex Options.\7\
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    \5\ For purposes of calculating monthly ADV, BOX counts as a 
half day any day that the market closes early for a holiday 
observance.
    \6\ The OCC provides volume information in two product 
categories: Equity and ETF volume and index volume, and the 
information can be filtered to show only Customer, firm, or market 
maker account type. Equity and ETF Customer volume numbers are 
available directly from the OCC each morning, or may be transmitted, 
upon request, free of charge from the Exchange. Equity and ETF 
Customer volume is a widely followed benchmark of industry volume 
and is indicative of industry market share. Total Industry equity 
and ETF option volume is comprised of those equity and ETF option 
contracts that clear in a respective account type at the OCC 
(Customer, Market Maker and Firm), including Exchange-Traded Fund 
Shares, Trust Issued Receipts, Partnership Units, and Index-Linked 
Securities such as Exchange-Traded Notes, and does not include 
contracts overlying a security other than an equity or ETF security. 
Under the proposed rule change, Total Industry equity and ETF option 
volume will be that which is reported for the month by OCC in the 
month in which the credits may apply. For example, November 2015 
Total Industry Customer equity and ETF option volume will be used in 
determining what, if any, credit a Customer on BOX may be eligible 
for based on the Customer electronic equity and ETF option ADV it 
transacts on the Exchange in November 2015.
    \7\ Calculations do not include Flex Options, which are not 
traded on BOX.
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    The Exchange believes that the proposed percentages are generally 
equivalent to the current fixed thresholds at current volume levels, 
but will have the advantage of fluctuating with industry volume. The 
Exchange also notes that other option exchanges have similar 
methodology when determining volume thresholds.\8\ The Exchange does 
not propose to amend the rebates and fees associated with these tiers, 
or the market participant categories that the fees and rebates apply 
to.
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    \8\ See NASDAQ OMX PHLX, (``PHLX'') Pricing Schedule Section A 
[sic], ``Customer Rebate Program''; Miami International Securities 
Exchange, LLC (``MIAX'') Fee Schedule Section I(a)(iii) ``Priority 
Customer Rebate Program''; BATS Exchange, Inc. (``BATS'') BATS 
Options Exchange Fee Schedule ``Quoting Incentive Program (``QIP'') 
Liquidity Rebates''; Chicago Board Options Exchange, Inc. (``CBOE'') 
Fee Schedule ``Volume Incentive Program'' (page 4); NASDAQ Stock 
Market LLC (``NOM'') Chapter XV, Section 2 NASDAQ Options Market--
Fees and Rebates; NYSE Arca, Inc (``Arca'') Options Fees and 
Charges, ``Customer and Professional Customer Monthly Posting Credit 
Tiers and Qualifications for Executions in Penny Pilot Issues''(page 
4); and NYSE Amex, Inc. (``AMEX'') NYSE AMEX Options Fee Schedule, 
``Transaction Fee/Credit--Per Contract.''
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Tiered Volume Rebates for Non-Auction Transactions
    The Exchange currently provides Non-Auction transaction rebates to 
Public Customers and Market Makers who achieve certain volume based 
thresholds. The per contract rebate is based on the Participant's ADV 
considering all transactions executed on BOX by the Market Maker or 
Public Customer, respectively, as calculated at the end of each month.
    The Exchange proposes to instead calculate percentage thresholds on 
a monthly basis by totaling the Market Maker or Public Customer's 
executed volume on BOX, relative to the total national Market Maker or 
Customer volume in multiply-listed options classes. Market Makers and 
Public Customers who achieve certain volume based thresholds will 
continue to receive a per contract rebate on all Non-Auction 
transactions.
    The Exchange proposes the following qualification thresholds for 
Public Customer and Market Maker rebates in Non-Auction Transactions:

------------------------------------------------------------------------
                                Percentage thresholds of
                              national market maker volume  Per contract
            Tier               in multiply-listed options      rebate
                                   classes  (monthly)
------------------------------------------------------------------------
1..........................  0.000-0.069..................        $0.00
2..........................  0.070-0.249..................       ($0.03)
3..........................  0.250-0.299..................       ($0.05)
4..........................  Above 0.300..................       ($0.10)
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----------------------------------------------------------------------------------------------------------------
                       Percentage thresholds                          Per contract rebate
                       of national customer  -------------------------------------------------------------------
        Tier            volume in multiply-          Penny pilot classes             Non-penny pilot classes
                      listed options classes -------------------------------------------------------------------
                             (monthly)             Maker            Taker            Maker            Taker
----------------------------------------------------------------------------------------------------------------
1...................  0.000-0.129...........           $0.00            $0.00            $0.00            $0.00
2...................  0.130-0.339...........          ($0.15)          ($0.15)          ($0.40)          ($0.40)
3...................  0.340-0.549...........          ($0.25)          ($0.25)          ($0.50)          ($0.50)
4...................  Above 0.550...........          ($0.40)          ($0.40)          ($0.90)          ($0.70)
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Tiered Fee Schedule for Initiating Participants
    Fees for auction transactions apply to transactions executed 
through Price Improvement Period (``PIP'') and the Complex Order Price 
Improvement Period (``COPIP'') auction mechanisms. The Exchange 
currently assesses a tiered per contract execution fee for Primary 
Improvement Orders that is based on each Initiating Participant's 
monthly ADV in total Primary Improvement Order contract quantity 
submitted on BOX.
    The Exchange proposes to instead calculate percentage thresholds on 
a monthly basis by totaling the Initiating Participant's Primary 
Improvement

[[Page 72760]]

Order volume submitted to BOX, relative to the total national Customer 
volume in multiply-listed options classes. While Primary Improvement 
Orders are submitted by Market Makers and Broker Dealers, the Exchange 
believes it is appropriate to calculate the percentage thresholds on 
national Customer volume as Primary Improvement Orders are only 
submitted as the matching contra order to the PIP or COPIP on the 
opposite side of a Customer's PIP or COPIP Order.
    The Exchange proposes the following qualification thresholds for 
Initiating Participants:

------------------------------------------------------------------------
                                Percentage thresholds of    Per contract
                             national  customer  volume in    fee (all
            Tier                multiply-listed options        account
                                   classes (monthly)           types)
------------------------------------------------------------------------
1..........................  0.000-0.079..................        $0.25
2..........................  0.080-0.159..................         0.20
3..........................  0.160-0.339..................         0.12
4..........................  0.340-0.849..................         0.07
5..........................  Above 0.850..................         0.03
------------------------------------------------------------------------

BOX Volume Rebate
    The Exchange currently provides a per contract rebate to all PIP 
and COPIP Orders of 100 and under contracts that is based on the 
Participant's monthly ADV in PIP and COPIP Transactions submitted to 
the Exchange. The Exchange proposes to instead calculate percentage 
thresholds on a monthly basis by totaling the Participant's PIP and 
COPIP volume submitted to BOX, relative to the total national Customer 
volume in multiply-listed options classes.
    The Exchange proposes the following qualification thresholds PIP 
and COPIP Transactions:

------------------------------------------------------------------------
                         Percentage          Per contract rebate (All
                        thresholds of             account types)
                      national customer  -------------------------------
       Tier          volume in multiply-
                       listed options           PIP            COPIP
                      classes (monthly)
------------------------------------------------------------------------
1.................  0.000 to 0.159......         ($0.00)         ($0.00)
2.................  0.160 to 0.339......         ($0.04)         ($0.02)
3.................  0.340 to 0.849......         ($0.11)         ($0.04)
4.................  Above 0.850.........         ($0.14)         ($0.06)
------------------------------------------------------------------------

    The Exchange also proposes to make non-substantive technical 
chances [sic] to renumber the footnotes within the BOX Fee Schedule.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with the 
requirements of Section 6(b) of the Act, in general, and Section 
6(b)(4) and 6(b)(5)of the Act,\9\ in particular, in that it provides 
for the equitable allocation of reasonable dues, fees, and other 
charges among BOX Participants and other persons using its facilities 
and does not unfairly discriminate between customers, issuers, brokers 
or dealers.
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    \9\ 15 U.S.C. 78f(b)(4) and (5).
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    The Exchange believes that revising the qualification thresholds 
for all volume based fees and rebates in the BOX Fee Schedule is 
reasonable, equitable and not unfairly discriminatory. The Exchange 
notes that it is not proposing to adjust the actual fees or rebates 
assessed or the market participant categories that the fees and rebates 
apply to. The Exchange believes that the proposed percentages are 
reasonable as they are generally equivalent to the fixed volume 
thresholds currently in place on the Exchange. The tiered fee and 
rebate structures in place within the BOX Fee Schedule are equitable 
and not unfairly discriminatory as they are designed to attract order 
flow to the Exchange, which will benefit all market participants by 
providing more trading opportunities.
    The Exchange believes that using a percentage based threshold 
rather than a fixed threshold is reasonable because it will allow the 
threshold to account for fluctuating industry volume. Further, the 
Exchange notes that other options exchanges have adopted similar 
methodology in determining thresholds for their volume incentive 
programs.\10\
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    \10\ See supra, note 8.
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    Finally, as stated above the Exchange believes it is reasonable to 
calculate the percentage thresholds for Initiating Participant's on 
total national Customer volume in multiply-listed options classes. 
Primary Improvement Orders are only submitted as the matching contra 
order to the PIP or COPIP on the opposite side of a Customer's PIP or 
COPIP Order. Because of this, the Exchange believes that calculating 
the percentage thresholds on total national Firm or Market Maker volume 
in multiply-listed options classes would not accurately account for 
fluctuations in industry volume and it is more appropriate to use total 
national Customer volume.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition not necessary or appropriate in 
furtherance of the purposes of the Act. The Exchange is simply 
proposing to revise the qualification thresholds in its volume based 
tiers to allow for more fluctuation in industry volume. The Exchange 
believes that the volume based rebates and fees increase intermarket 
and intramarket competition by incenting Participants to direct their 
order flow to the exchange, which benefits all participants by 
providing more trading opportunities and improves competition on the 
Exchange.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were either solicited or received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A)(ii) of the Exchange Act \11\ and Rule 19b-4(f)(2) 
thereunder,\12\ because it establishes or changes a due, or fee.
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    \11\ 15 U.S.C. 78s(b)(3)(A)(ii).
    \12\ 17 CFR 240.19b-4(f)(2).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend the rule 
change if it appears to the Commission that the action is necessary or 
appropriate in the public interest, for the protection of investors, or 
would otherwise further the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings

[[Page 72761]]

to determine whether the proposed rule should be approved or 
disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-BOX-2015-36 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-BOX-2015-36. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549 on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of such filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-BOX-2015-36, and should be 
submitted on or before December 11, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\13\
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    \13\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-29603 Filed 11-19-15; 8:45 am]
BILLING CODE 8011-01-P